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      환율변동성의 분석을 통한 헤지 방안 = Hedging Plan through Analysis of Exchange Rate Volatility

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      https://www.riss.kr/link?id=A106986324

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      다국어 초록 (Multilingual Abstract)

      Through this study was analyzed the volatility of the foreign exchange market in Korea to determine the adequacy of barriers of currency options. First, ARCH-test was performed to determine if volatility in korean foreign exchange market can be analyzed through the ARCH model. As the result, ARCH model is a appropriate tool to measure the volatility of the foreign exchange market in Korea. The volatility of the foreign exchange market in Korea was therefore analyzed through kind of ARCH models. According to the results of analysis by GARCH-model, the volatility of korean foreign exchange market is high and the trend is expected to be continued. And according to analysis by EGARCH-model, the volatility of foreign exchange rate is higher as increasing foreign exchange rate than as decreasing. And the currency options, which are designed against increasing foreign exchange rate, do not have the appropriate means to hedge against the risk of volatility of foreign exchange rate, because low stability. In the market with high exchange rate volatility as korean foreign exchange market, importer and exporter do hedge against the risk of volatility of foreign exchange rate better by relatively safe currency futures in exchange market or forward trading than by derivatives as currency options.
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      Through this study was analyzed the volatility of the foreign exchange market in Korea to determine the adequacy of barriers of currency options. First, ARCH-test was performed to determine if volatility in korean foreign exchange market can be analyz...

      Through this study was analyzed the volatility of the foreign exchange market in Korea to determine the adequacy of barriers of currency options. First, ARCH-test was performed to determine if volatility in korean foreign exchange market can be analyzed through the ARCH model. As the result, ARCH model is a appropriate tool to measure the volatility of the foreign exchange market in Korea. The volatility of the foreign exchange market in Korea was therefore analyzed through kind of ARCH models. According to the results of analysis by GARCH-model, the volatility of korean foreign exchange market is high and the trend is expected to be continued. And according to analysis by EGARCH-model, the volatility of foreign exchange rate is higher as increasing foreign exchange rate than as decreasing. And the currency options, which are designed against increasing foreign exchange rate, do not have the appropriate means to hedge against the risk of volatility of foreign exchange rate, because low stability. In the market with high exchange rate volatility as korean foreign exchange market, importer and exporter do hedge against the risk of volatility of foreign exchange rate better by relatively safe currency futures in exchange market or forward trading than by derivatives as currency options.

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      참고문헌 (Reference)

      1 이사영, "환율변동성 행태에 대한 연구" 2006

      2 최생림, "환율 변동성 예측 모형의 실증분석" 한국국제경영학회 14 (14): 2003

      3 이헌상, "주가선물지수 도입과 기초자산의 변동: 한․일 양국에 대한 실증분석" 32 : 2001

      4 김종선, "자유변동환율제도와 원/달러 환율의 변동성 분석" 11 : 2005

      5 김민호, "미국통화선물의 거래활동과 원/달러 환율의 변동성미국통화선물의 거래활동과 원/달러 환율의 변동성" 한국무역학회 28 (28): 137-162, 2003

      6 Schmidt, Ch, "Volatilitätsprognosen für deutsche Aktienkurse mit ARCH- und Markov-Mischungsmodellen" 1994

      7 Specht, K., "Volatilitaetsanalyse mit dem Argumented GARCH-Modell" 82 : 1998

      8 Engle, R.F., "Time varying risk premia in the term of sturucture: ARCH-M-Modell" 55 (55): 391-407, 1987

      9 Fama, E.F., "Permanent and Temporary Components of Stock Prices" 96 (96): 246-273, 1988

      10 Bessembinder, H., "Mean reversion in Equilibrium Asset Prices: Evidence from the Futures Term Structure" 50 (50): 361-375, 1995

      1 이사영, "환율변동성 행태에 대한 연구" 2006

      2 최생림, "환율 변동성 예측 모형의 실증분석" 한국국제경영학회 14 (14): 2003

      3 이헌상, "주가선물지수 도입과 기초자산의 변동: 한․일 양국에 대한 실증분석" 32 : 2001

      4 김종선, "자유변동환율제도와 원/달러 환율의 변동성 분석" 11 : 2005

      5 김민호, "미국통화선물의 거래활동과 원/달러 환율의 변동성미국통화선물의 거래활동과 원/달러 환율의 변동성" 한국무역학회 28 (28): 137-162, 2003

      6 Schmidt, Ch, "Volatilitätsprognosen für deutsche Aktienkurse mit ARCH- und Markov-Mischungsmodellen" 1994

      7 Specht, K., "Volatilitaetsanalyse mit dem Argumented GARCH-Modell" 82 : 1998

      8 Engle, R.F., "Time varying risk premia in the term of sturucture: ARCH-M-Modell" 55 (55): 391-407, 1987

      9 Fama, E.F., "Permanent and Temporary Components of Stock Prices" 96 (96): 246-273, 1988

      10 Bessembinder, H., "Mean reversion in Equilibrium Asset Prices: Evidence from the Futures Term Structure" 50 (50): 361-375, 1995

      11 Cecchetti, S.G., "Mean Reversion in Equilibrium Asset Prices" 80 (80): 398-418, 1990

      12 이재하, "KOSPI200선물을 이용한 헤지전략" 28 : 2001

      13 김건우, "KOSPI200과 KOSPI 수익률 변동성 기억과정 및 선물시장도입에 의한 변동성 충격" 26 : 2001

      14 Bollerslev, T., "Generalized Autoregressive Conditional Heteroscedasticity" 31 : 307-327, 1986

      15 장명기, "GARCH(1,1)-M 모형을 이용한 나스닥시장과 코스닥시장 움직임의 연관성 분석" 한국중소기업학회 23 (23): 107-130, 2001

      16 Nelson, D.B., "Conditional Heteroscedasticity in Asset Return: a New Approach" 59 (59): 347-370, 1991

      17 Engle, R.F., "Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation" 50 (50): 987-1007, 1982

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      학술지 이력

      학술지 이력
      연월일 이력구분 이력상세 등재구분
      2022 평가예정 재인증평가 신청대상 (재인증)
      2019-01-01 평가 등재학술지 유지 (계속평가) KCI등재
      2016-01-01 평가 등재학술지 유지 (계속평가) KCI등재
      2012-01-01 평가 등재학술지 선정 (등재후보2차) KCI등재
      2011-01-01 평가 등재후보 1차 PASS (등재후보1차) KCI등재후보
      2010-01-01 평가 등재후보학술지 유지 (등재후보2차) KCI등재후보
      2009-01-01 평가 등재후보 1차 PASS (등재후보1차) KCI등재후보
      2007-01-01 평가 등재후보학술지 선정 (신규평가) KCI등재후보
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      학술지 인용정보

      학술지 인용정보
      기준연도 WOS-KCI 통합IF(2년) KCIF(2년) KCIF(3년)
      2016 0.46 0.46 0.43
      KCIF(4년) KCIF(5년) 중심성지수(3년) 즉시성지수
      0.42 0.4 0.668 0.24
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